Forex Seasonality in May forecasts Dollar Rebound After April Selloff

Summary:

– May has produced strongest monthly performance for USD in QE era. May marks the best month of the year for the US Dollar after the seasonally worst month.

– Australian Dollar, Euro have typically led underperformers. The commodity currencies have typically rallied slumped during May.

– Variation of returns is higher than other months; volatility is common.

For May, we continue to focus on the period of 2005 to 2016. The small sample size is not ideal, and we recognize that there is increased statistical stability with using longer time periods. However, because of the specific uniqueness of the past twelve years relative to any other time period in market history – the era of quantitative easing – we’ve elected to attempt to increase the stability of the estimates with the shorter time period.

May is a bearish month for EUR/USD, from a seasonality perspective, due to its inconsistent performance metrics. The pair has lost ground 55% of the time in May over the past 20 years, and its average performance during this time frame was -76-pips per month. Recently, EUR/USD has fallen in May in six consecutive years.

From a seasonality perspective, May is a very bearish month for AUD/USD. The pair has depreciated 70% of the time in May over the past 20 years, and its average performance during this time frame was -122-pips per month. Recently, AUD/USD has lost ground in five of the past six years.

 

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Author: Wei Wu

我曾在一家资产管理公司担任量化研究的工作, 结合自己的金融,数理,IT知识负责期货高频统计套利和股票智能投资顾问股票策略的开发。 我5年前进入金融行业,后到美国进修MBA学位,主攻金融方向,毕业后到Bloomberg工作,工作范围为债券数据分析与处理,同时怀着对量化研究的兴趣,申请了美国顶尖金融工程项目--Baruch College,学习到了扎实的金融工程实践知识。 回国后在某私募基金做量化分析师,参与设计开发量化基金产品所需要的数据库和交易系统,海外ETF股票智能投资顾问。

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